Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0928
Annualized Std Dev 0.2428
Annualized Sharpe (Rf=0%) 0.3824

Row

Daily Return Statistics

Close
Observations 5180.0000
NAs 1.0000
Minimum -0.1240
Quartile 1 -0.0072
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0083
Maximum 0.0882
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0153
Skewness -0.2271
Kurtosis 6.1619

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0106
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6128
Historical VaR (95%) -0.0225
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0238
Modified ES (95%) -0.0417
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-01-02 -0.6128 1406 444 962
2018-08-23 2020-03-23 2021-01-06 -0.4901 597 397 200
2002-05-06 2003-03-12 2003-12-01 -0.3683 398 215 183
2001-05-23 2001-09-21 2001-12-27 -0.2204 148 81 67
2015-06-24 2016-02-11 2016-07-12 -0.2139 265 161 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA 1.4 0 0.5 0.6 1.1 -1.1 2.5
2001 0.6 0.1 1.6 0.8 0.6 1.7 1.2 0.2 -2.5 0.7 -0.2 -1.3 3.5
2002 -0.9 1.6 0.2 0.4 0.6 -2.4 -0.8 -0.1 2.9 2.2 -1.4 0.4 2.5
2003 2 -0.1 0.9 -0.2 2 0.4 -1.4 0.3 2.8 -0.5 1.5 -1.5 6.3
2004 -0.4 1.6 0.4 -1 0.8 -1.1 0.2 0.4 2.3 0.6 1.5 -0.3 5
2005 0.5 1.1 -0.2 0.8 1.2 0.2 0.3 0.4 0.2 0.7 2.1 -0.7 6.8
2006 0.7 1.3 0.3 0 1.9 0.4 -1.3 0.5 -1.3 -1.6 -0.3 -1 -0.4
2007 0.9 -0.5 -0.1 0.8 1 -1.3 0.5 1.2 2.4 -3.7 0.1 -0.3 1
2008 2.5 -3 3.5 2.1 0 0 0.5 -1 -0.4 5.1 -12.4 3.7 -0.7
2009 -2.2 -1 2.4 0 4.5 2.3 -0.3 -2.4 -3.2 -2.8 1.7 -1.5 -2.8
2010 0.8 2 1 -3.4 -2.8 -0.7 0 4 0.5 -0.9 2.3 -1.1 1.4
2011 2.2 -1.7 0.3 0.1 -3 1.7 -0.4 -2.2 -2.8 -3.5 -0.9 -1 -10.8
2012 2.4 0.5 -0.4 -0.1 -3.1 3.2 -1.7 0.3 0.5 1.3 -0.2 1.9 4.6
2013 1.1 0.3 -1 -2.4 -0.9 1.3 1.4 -1.7 1 -0.2 0.1 -0.1 -1.3
2014 -0.6 0.2 1 -0.2 -0.2 1.1 0 0.6 -1.3 1.4 -1.4 -0.5 0
2015 -2 -0.3 -0.1 0.5 0.3 0.4 0.5 -2.8 -0.6 -0.3 0.7 -1.2 -4.8
2016 -0.6 1.7 0 -0.5 0.7 0.4 -0.1 -0.1 1.1 -1.4 -0.2 -0.4 0.5
2017 -0.1 1.8 0.2 0.3 1.9 -0.1 0.3 0.9 0.1 -0.6 -0.5 -0.7 3.6
2018 0.3 -0.3 0.8 0.1 0.6 -0.4 -0.4 0.4 -1.4 1.6 0.7 0.5 2.5
2019 0.1 0.6 1.6 -1.1 -1.5 0.3 -2 0 -1.9 1.7 -0.7 0.3 -2.6
2020 -2.2 -1.2 -6.9 -4.4 1.2 -1.9 -1 1.3 1.5 -1.2 1.5 0.2 -12.7
2021 1.3 3.1 0 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-07-28  16.8 SPY    142. -0.0226  -0.0379  -0.0238  -0.0207   0.0704       NA       NA <NA>     NA    NA       NA
2 2000-07-31  16.9 SPY    143.  0.0057  -0.0268  -0.0089  -0.0283   0.074        NA       NA <NA>     NA    NA       NA
3 2000-08-01  17.1 SPY    144.  0.0068  -0.0233  -0.0097  -0.0017   0.0864       NA       NA <NA>     NA    NA       NA
4 2000-08-02  17.2 SPY    145.  0.005   -0.0088  -0.0182   0.021    0.107        NA       NA <NA>     NA    NA       NA
5 2000-08-03  17.1 SPY    146.  0.0069   0.0015   0.0067   0.0267   0.105        NA       NA <NA>     NA    NA       NA
6 2000-08-04  17.2 SPY    146.  0.0054   0.0301   0.0043   0.0198   0.123        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart